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<ul class="summary">
<li><a href="./">The Open Quant Live Book</a></li>

<li class="divider"></li>
<li class="chapter" data-level="" data-path="index.html"><a href="index.html"><i class="fa fa-check"></i>Preface</a><ul>
<li class="chapter" data-level="" data-path="index.html"><a href="index.html#description"><i class="fa fa-check"></i>Description</a></li>
<li class="chapter" data-level="" data-path="index.html"><a href="index.html#contribute"><i class="fa fa-check"></i>Contribute</a></li>
<li class="chapter" data-level="" data-path="index.html"><a href="index.html#working-contents"><i class="fa fa-check"></i>Working Contents</a></li>
<li class="chapter" data-level="" data-path="index.html"><a href="index.html#books-information"><i class="fa fa-check"></i>Book’s information</a></li>
</ul></li>
<li class="part"><span><b>I The Basics</b></span></li>
<li class="chapter" data-level="1" data-path="io.html"><a href="io.html"><i class="fa fa-check"></i><b>1</b> I/O</a><ul>
<li class="chapter" data-level="1.1" data-path="io.html"><a href="io.html#importing-data"><i class="fa fa-check"></i><b>1.1</b> Importing Data</a><ul>
<li class="chapter" data-level="1.1.1" data-path="io.html"><a href="io.html#text-files"><i class="fa fa-check"></i><b>1.1.1</b> Text Files</a></li>
<li class="chapter" data-level="1.1.2" data-path="io.html"><a href="io.html#excel-files"><i class="fa fa-check"></i><b>1.1.2</b> Excel Files</a></li>
<li class="chapter" data-level="1.1.3" data-path="io.html"><a href="io.html#json-files"><i class="fa fa-check"></i><b>1.1.3</b> JSON Files</a></li>
<li class="chapter" data-level="1.1.4" data-path="io.html"><a href="io.html#large-files"><i class="fa fa-check"></i><b>1.1.4</b> Large Files</a></li>
</ul></li>
<li class="chapter" data-level="1.2" data-path="io.html"><a href="io.html#data-sources"><i class="fa fa-check"></i><b>1.2</b> Data Sources</a><ul>
<li class="chapter" data-level="1.2.1" data-path="io.html"><a href="io.html#alpha-vantage"><i class="fa fa-check"></i><b>1.2.1</b> Alpha Vantage</a></li>
<li class="chapter" data-level="1.2.2" data-path="io.html"><a href="io.html#iex"><i class="fa fa-check"></i><b>1.2.2</b> IEX</a></li>
<li class="chapter" data-level="1.2.3" data-path="io.html"><a href="io.html#quandl"><i class="fa fa-check"></i><b>1.2.3</b> Quandl</a></li>
<li class="chapter" data-level="1.2.4" data-path="io.html"><a href="io.html#sec"><i class="fa fa-check"></i><b>1.2.4</b> SEC</a></li>
</ul></li>
<li class="chapter" data-level="1.3" data-path="io.html"><a href="io.html#conclusion"><i class="fa fa-check"></i><b>1.3</b> Conclusion</a><ul>
<li class="chapter" data-level="1.3.1" data-path="io.html"><a href="io.html#further-reading"><i class="fa fa-check"></i><b>1.3.1</b> Further Reading</a></li>
</ul></li>
</ul></li>
<li class="chapter" data-level="2" data-path="stylized-facts.html"><a href="stylized-facts.html"><i class="fa fa-check"></i><b>2</b> Stylized Facts</a><ul>
<li class="chapter" data-level="2.1" data-path="stylized-facts.html"><a href="stylized-facts.html#introduction"><i class="fa fa-check"></i><b>2.1</b> Introduction</a></li>
<li class="chapter" data-level="2.2" data-path="stylized-facts.html"><a href="stylized-facts.html#distribution-of-returns"><i class="fa fa-check"></i><b>2.2</b> Distribution of Returns</a><ul>
<li class="chapter" data-level="2.2.1" data-path="stylized-facts.html"><a href="stylized-facts.html#fat-tails"><i class="fa fa-check"></i><b>2.2.1</b> Fat Tails</a></li>
<li class="chapter" data-level="2.2.2" data-path="stylized-facts.html"><a href="stylized-facts.html#skewness"><i class="fa fa-check"></i><b>2.2.2</b> Skewness</a></li>
</ul></li>
<li class="chapter" data-level="2.3" data-path="stylized-facts.html"><a href="stylized-facts.html#volatility"><i class="fa fa-check"></i><b>2.3</b> Volatility</a><ul>
<li class="chapter" data-level="2.3.1" data-path="stylized-facts.html"><a href="stylized-facts.html#time-invariance"><i class="fa fa-check"></i><b>2.3.1</b> Time-invariance</a></li>
<li class="chapter" data-level="2.3.2" data-path="stylized-facts.html"><a href="stylized-facts.html#volatility-clustering"><i class="fa fa-check"></i><b>2.3.2</b> Volatility Clustering</a></li>
<li class="chapter" data-level="2.3.3" data-path="stylized-facts.html"><a href="stylized-facts.html#correlation-with-trading-volume"><i class="fa fa-check"></i><b>2.3.3</b> Correlation with Trading Volume</a></li>
</ul></li>
<li class="chapter" data-level="2.4" data-path="stylized-facts.html"><a href="stylized-facts.html#correlation"><i class="fa fa-check"></i><b>2.4</b> Correlation</a><ul>
<li class="chapter" data-level="2.4.1" data-path="stylized-facts.html"><a href="stylized-facts.html#time-invariance-1"><i class="fa fa-check"></i><b>2.4.1</b> Time-invariance</a></li>
<li class="chapter" data-level="2.4.2" data-path="stylized-facts.html"><a href="stylized-facts.html#auto-correlation"><i class="fa fa-check"></i><b>2.4.2</b> Auto-correlation</a></li>
</ul></li>
</ul></li>
<li class="part"><span><b>II Algo Trading</b></span></li>
<li class="part"><span><b>III Portfolio Optimization</b></span></li>
<li class="chapter" data-level="3" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html"><i class="fa fa-check"></i><b>3</b> Risk Parity Portfolios</a><ul>
<li class="chapter" data-level="3.1" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html#introduction-1"><i class="fa fa-check"></i><b>3.1</b> Introduction</a></li>
<li class="chapter" data-level="3.2" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html#risk-parity-portfolio"><i class="fa fa-check"></i><b>3.2</b> Risk Parity Portfolio</a></li>
<li class="chapter" data-level="3.3" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html#tangency-portfolio"><i class="fa fa-check"></i><b>3.3</b> Tangency Portfolio</a></li>
<li class="chapter" data-level="3.4" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html#optimizing-faang-ray-dalio-versus-markowitz"><i class="fa fa-check"></i><b>3.4</b> Optimizing FAANG: Ray Dalio versus Markowitz</a><ul>
<li class="chapter" data-level="3.4.1" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html#single-portfolio"><i class="fa fa-check"></i><b>3.4.1</b> Single Portfolio</a></li>
<li class="chapter" data-level="3.4.2" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html#the-ray-dalio-faang-index"><i class="fa fa-check"></i><b>3.4.2</b> The Ray Dalio FAANG Index</a></li>
</ul></li>
<li class="chapter" data-level="3.5" data-path="risk-parity-portfolios.html"><a href="risk-parity-portfolios.html#discussion-and-conclusion"><i class="fa fa-check"></i><b>3.5</b> Discussion and Conclusion</a></li>
</ul></li>
<li class="part"><span><b>IV Machine Learning</b></span></li>
<li class="part"><span><b>V Econophysics</b></span></li>
<li class="chapter" data-level="4" data-path="entropy.html"><a href="entropy.html"><i class="fa fa-check"></i><b>4</b> Entropy</a><ul>
<li class="chapter" data-level="4.1" data-path="entropy.html"><a href="entropy.html#introduction-2"><i class="fa fa-check"></i><b>4.1</b> Introduction</a></li>
<li class="chapter" data-level="4.2" data-path="entropy.html"><a href="entropy.html#nonlinear-coupling"><i class="fa fa-check"></i><b>4.2</b> Nonlinear Coupling</a><ul>
<li class="chapter" data-level="4.2.1" data-path="entropy.html"><a href="entropy.html#simulated-systems"><i class="fa fa-check"></i><b>4.2.1</b> Simulated Systems</a></li>
<li class="chapter" data-level="4.2.2" data-path="entropy.html"><a href="entropy.html#equity-commodities-relationship"><i class="fa fa-check"></i><b>4.2.2</b> Equity-Commodities Relationship</a></li>
</ul></li>
<li class="chapter" data-level="4.3" data-path="entropy.html"><a href="entropy.html#efficiency-and-bubbles-a-case-study-in-the-crypto-and-equity-markets"><i class="fa fa-check"></i><b>4.3</b> Efficiency and Bubbles: A Case Study in the Crypto and Equity Markets</a></li>
</ul></li>
<li class="chapter" data-level="5" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><i class="fa fa-check"></i><b>5</b> How to Measure Statistical Causality: A Transfer Entropy Approach with Financial Applications</a><ul>
<li class="chapter" data-level="5.1" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#LinearG"><i class="fa fa-check"></i><b>5.1</b> A First Definition of Causality</a></li>
<li class="chapter" data-level="5.2" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#a-probabilistic-based-definition"><i class="fa fa-check"></i><b>5.2</b> A Probabilistic-Based Definition</a></li>
<li class="chapter" data-level="5.3" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#nonlinearG"><i class="fa fa-check"></i><b>5.3</b> Transfer Entropy and Statistical Causality</a></li>
<li class="chapter" data-level="5.4" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#net-information-flow"><i class="fa fa-check"></i><b>5.4</b> Net Information Flow</a></li>
<li class="chapter" data-level="5.5" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#the-link-between-granger-causality-and-transfer-entropy"><i class="fa fa-check"></i><b>5.5</b> The Link Between Granger-causality and Transfer Entropy</a></li>
<li class="chapter" data-level="5.6" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#information-flow-on-simulated-systems"><i class="fa fa-check"></i><b>5.6</b> Information Flow on Simulated Systems</a></li>
<li class="chapter" data-level="5.7" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#information-flow-among-international-stock-market-indices"><i class="fa fa-check"></i><b>5.7</b> Information Flow among International Stock Market Indices</a></li>
<li class="chapter" data-level="5.8" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#other-applications"><i class="fa fa-check"></i><b>5.8</b> Other Applications</a><ul>
<li class="chapter" data-level="5.8.1" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#quantifying-information-flow-between-social-media-and-the-stock-market"><i class="fa fa-check"></i><b>5.8.1</b> Quantifying Information Flow Between Social Media and the Stock Market</a></li>
<li class="chapter" data-level="5.8.2" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#detecting-causal-links-between-investor-sentiment-and-cryptocurrency-prices"><i class="fa fa-check"></i><b>5.8.2</b> Detecting Causal Links Between Investor Sentiment and Cryptocurrency Prices</a></li>
</ul></li>
<li class="chapter" data-level="5.9" data-path="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html"><a href="how-to-measure-statistical-causality-a-transfer-entropy-approach-with-financial-applications.html#conclusions"><i class="fa fa-check"></i><b>5.9</b> Conclusions</a></li>
</ul></li>
<li class="chapter" data-level="6" data-path="financial-networks.html"><a href="financial-networks.html"><i class="fa fa-check"></i><b>6</b> Financial Networks</a><ul>
<li class="chapter" data-level="6.1" data-path="financial-networks.html"><a href="financial-networks.html#introduction-3"><i class="fa fa-check"></i><b>6.1</b> Introduction</a></li>
<li class="chapter" data-level="6.2" data-path="financial-networks.html"><a href="financial-networks.html#network-construction"><i class="fa fa-check"></i><b>6.2</b> Network Construction</a><ul>
<li class="chapter" data-level="6.2.1" data-path="financial-networks.html"><a href="financial-networks.html#network-filtering-asset-graphs"><i class="fa fa-check"></i><b>6.2.1</b> Network Filtering: Asset Graphs</a></li>
<li class="chapter" data-level="6.2.2" data-path="financial-networks.html"><a href="financial-networks.html#network-filtering-mst"><i class="fa fa-check"></i><b>6.2.2</b> Network Filtering: MST</a></li>
<li class="chapter" data-level="6.2.3" data-path="financial-networks.html"><a href="financial-networks.html#network-filtering-pmfg"><i class="fa fa-check"></i><b>6.2.3</b> Network Filtering: PMFG</a></li>
</ul></li>
<li class="chapter" data-level="6.3" data-path="financial-networks.html"><a href="financial-networks.html#applications"><i class="fa fa-check"></i><b>6.3</b> Applications</a><ul>
<li class="chapter" data-level="6.3.1" data-path="financial-networks.html"><a href="financial-networks.html#industry-taxonomy"><i class="fa fa-check"></i><b>6.3.1</b> Industry Taxonomy</a></li>
<li class="chapter" data-level="6.3.2" data-path="financial-networks.html"><a href="financial-networks.html#portfolio-construction"><i class="fa fa-check"></i><b>6.3.2</b> Portfolio Construction</a></li>
</ul></li>
</ul></li>
<li class="part"><span><b>VI Alternative Data</b></span></li>
<li class="chapter" data-level="7" data-path="the-market-the-players-and-the-rules.html"><a href="the-market-the-players-and-the-rules.html"><i class="fa fa-check"></i><b>7</b> The Market, The Players and The Rules</a><ul>
<li class="chapter" data-level="7.1" data-path="the-market-the-players-and-the-rules.html"><a href="the-market-the-players-and-the-rules.html#the-market"><i class="fa fa-check"></i><b>7.1</b> The Market</a></li>
<li class="chapter" data-level="7.2" data-path="the-market-the-players-and-the-rules.html"><a href="the-market-the-players-and-the-rules.html#the-data"><i class="fa fa-check"></i><b>7.2</b> The Data</a></li>
<li class="chapter" data-level="7.3" data-path="the-market-the-players-and-the-rules.html"><a href="the-market-the-players-and-the-rules.html#the-buyers"><i class="fa fa-check"></i><b>7.3</b> The Buyers</a></li>
<li class="chapter" data-level="7.4" data-path="the-market-the-players-and-the-rules.html"><a href="the-market-the-players-and-the-rules.html#conclusion-1"><i class="fa fa-check"></i><b>7.4</b> Conclusion</a></li>
</ul></li>
<li class="appendix"><span><b>Appendix</b></span></li>
<li class="chapter" data-level="A" data-path="statistical-methods.html"><a href="statistical-methods.html"><i class="fa fa-check"></i><b>A</b> Statistical Methods</a><ul>
<li class="chapter" data-level="A.1" data-path="statistical-methods.html"><a href="statistical-methods.html#kde"><i class="fa fa-check"></i><b>A.1</b> Kernel Density Estimation</a></li>
</ul></li>
<li class="chapter" data-level="B" data-path="datasets.html"><a href="datasets.html"><i class="fa fa-check"></i><b>B</b> Datasets</a><ul>
<li class="chapter" data-level="B.1" data-path="datasets.html"><a href="datasets.html#dt-indices"><i class="fa fa-check"></i><b>B.1</b> Log-Returns of International Stock Market Indices Prices</a><ul>
<li class="chapter" data-level="B.1.1" data-path="datasets.html"><a href="datasets.html#dataset-location"><i class="fa fa-check"></i><b>B.1.1</b> Dataset Location</a></li>
<li class="chapter" data-level="B.1.2" data-path="datasets.html"><a href="datasets.html#dataset-description"><i class="fa fa-check"></i><b>B.1.2</b> Dataset Description</a></li>
<li class="chapter" data-level="B.1.3" data-path="datasets.html"><a href="datasets.html#data-source"><i class="fa fa-check"></i><b>B.1.3</b> Data Source</a></li>
<li class="chapter" data-level="B.1.4" data-path="datasets.html"><a href="datasets.html#code"><i class="fa fa-check"></i><b>B.1.4</b> Code</a></li>
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<li class="chapter" data-level="B.2.3" data-path="datasets.html"><a href="datasets.html#data-source-1"><i class="fa fa-check"></i><b>B.2.3</b> Data Source</a></li>
<li class="chapter" data-level="B.2.4" data-path="datasets.html"><a href="datasets.html#code-1"><i class="fa fa-check"></i><b>B.2.4</b> Code</a></li>
<li class="chapter" data-level="B.2.5" data-path="datasets.html"><a href="datasets.html#dataset-scheme-1"><i class="fa fa-check"></i><b>B.2.5</b> Dataset Scheme</a></li>
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<li><a href="https://github.com/souzatharsis/open-quant-live-book" target="blank">See source code on Github</a></li>

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            <i class="fa fa-circle-o-notch fa-spin"></i><a href="./">The Open Quant Live Book</a>
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<div id="header">
<h1 class="title">The Open Quant Live Book</h1>
<p class="author"><em>OpenQuants.com</em></p>
<p class="date"><em>2019-12-16</em></p>
</div>
<div id="preface" class="section level1 unnumbered">
<h1>Preface</h1>
<p><img style="border:5px solid black" src="./fig/cover.jpg" alt="The Open Quant Book"></p>
<div id="description" class="section level3 unnumbered">
<h3>Description</h3>
<p>The book aims to be an Open Source introductory reference of the most important aspects of financial data analysis, algo trading, portfolio selection, econophysics and machine learning in finance with an emphasis in reproducibility and openness not to be found in most other typical Wall Street-like references.</p>
</div>
<div id="contribute" class="section level3 unnumbered">
<h3>Contribute</h3>
<p>The Book is Open and we welcome co-authors. Feel free to <a href="https://www.openquants.com/contact">reach out</a> or simply create a pull request with your contribution! See project structure, guidelines and how to contribute <a href="https://github.com/souzatharsis/open-quant-live-book/blob/master/CONTRIBUTING.md">here</a>.</p>
</div>
<div id="working-contents" class="section level3 unnumbered">
<h3>Working Contents</h3>
<ol style="list-style-type: decimal">
<li>The Basics</li>
</ol>
<ul>
<li>I/O</li>
<li>Stylized Facts</li>
</ul>
<ol start="2" style="list-style-type: decimal">
<li>Algo Trading</li>
</ol>
<ul>
<li>Investment Process</li>
<li>Backtesting</li>
<li>Factor Investing</li>
<li>Limit Order</li>
</ul>
<ol start="3" style="list-style-type: decimal">
<li>Portfolio Optimization</li>
</ol>
<ul>
<li>Convex Optimization</li>
<li>Risk Parity Portfolios</li>
</ul>
<ol start="4" style="list-style-type: decimal">
<li>Machine Learning</li>
</ol>
<ul>
<li>Intro</li>
<li>Agent-Based Models</li>
<li>Binary Classifiers</li>
<li>Reinforcement Learning</li>
<li>Deep Learning</li>
<li>Hierarchical Risk Parity</li>
<li>AutoML</li>
</ul>
<ol start="5" style="list-style-type: decimal">
<li>Econophysics</li>
</ol>
<ul>
<li>Entropy, Efficiency and Bubbles</li>
<li>Nonparametric Statistical Causality: An Information-Theoretical Approach</li>
<li>Financial Networks</li>
</ul>
<ol start="6" style="list-style-type: decimal">
<li>Alternative Data</li>
</ol>
<ul>
<li>The Market, The Players, The Rules</li>
<li>Case Studies</li>
</ul>
</div>
<div id="books-information" class="section level3 unnumbered">
<h3>Book’s information</h3>
<p>First published at: <a href="https://openquants.com/">openquants.com</a>.</p>
<p>Licensed under <a href="https://creativecommons.org/licenses/by-nc-sa/4.0/">Attribution-NonCommercial-ShareAlike 4.0 International</a>.</p>
<p><img src="fig/by-nc-sa.png" width="15%" /></p>

<p class="flushright">
<p>Copyright (c) 2019. OpenQuants.com, New York, NY.</p>
</p>
 
<p class="flushright">
<a href="http://patreon.com/openquants"><img src="https://github.com/souzatharsis/open-quant-live-book/blob/master/fig/patreon.png" alt="Become a patron" /></a>
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